Start reading Trading Systems on your Kindle in under a minute. Don't have a Kindle? Get your Kindle here.

Deliver to your Kindle or other device

 
 
 

Try it free

Sample the beginning of this book for free

Deliver to your Kindle or other device

Read books on your computer or other mobile devices with our FREE Kindle Reading Apps.
Trading Systems: A new approach to system development and portfolio optimisation
 
 
Share your own customer images

Trading Systems: A new approach to system development and portfolio optimisation [Kindle Edition]

Emilio Tomasini (Author), Urban Jaekle (Author)
5.0 out of 5 stars  See all reviews (2 customer reviews) |
Digital List Price: £31.34 What's this?
Print List Price: £34.99
Kindle Price: £19.33 includes VAT* & free wireless delivery via Amazon Whispernet
You Save: £15.66 (45%)
Unlike print books, digital books are subject to VAT.

Formats

 Amazon Price New from Used from
Kindle Edition £19.33   -- --
Paperback £22.74   -- --

Product Description

Product Description

"The key is how to adapt existing codes to the current market conditions, how to build a portfolio and how to know when the moment has come to stop one system and start another one."Every day there are traders who make a fortune. It may seem that it seldom happens, but it does - as William Eckhardt, Ed Seykota, Jim Simons, and many others remind us. You can join them by using systems to manage your trading.This book explains exactly how you can build a winning trading system. It is an insight into what a trader should know and do in order to achieve success in the markets, and it will show you why you don't need to be a rocket scientist to build a winning trading system.There are three main parts to Trading Systems. Part One is a short, practical guide to trading systems' development and evaluation. It condenses the authors' years of experience into a number of practical tips. It also forms the theoretical basis for Part Two, in which readers will find a step-by-step development process for building a trading system, covering everything from initial code writing to walk forward analysis and money management. Part Three shows you how to combine a number of trading systems, for all the different markets, into an effective portfolio of systems.A trader can never really say he was successful, but only that he survived to trade another day; the "black swan" is always just around the corner. Trading Systems will help you find your way through the uncharted waters of systematic trading and show you what it takes to be among those that survive. A new approach to system development.

About the Author

Emilio Tomasini is a proprietary trader for many European banks and hedge funds and Adjunct Professor of Corporate Finance at the University of Bologna, Italy. His website is www.emiliotomasini.com. Urban Jaekle provides trading systems' advisory services to a hedge fund with automated trading systems on futures. He holds a diploma in physics, is a regular speaker in the main European trading events, and contributes to TRADERS' and Active Trader magazine.

Product details

  • Format: Kindle Edition
  • File Size: 4922 KB
  • Print Length: 196 pages
  • Publisher: Harriman House (27 May 2011)
  • Sold by: Amazon Media EU S.à r.l.
  • Language English
  • ASIN: B0052YFRGQ
  • Text-to-Speech: Enabled
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: #59,722 Paid in Kindle Store (See Top 100 Paid in Kindle Store)

    •  Would you like to give feedback on images?

More About the Author

Emilio Tomasini
Discover books, learn about writers, and more.

› Visit Amazon's Emilio Tomasini Page

Tag this product

 (What's this?)
Think of a tag as a keyword or label you consider is strongly related to this product.
Tags will help all customers organise and find favourite items.
Your tags: Add your first tag
 
See most popular tags

Customer Reviews

4 star
0
3 star
0
2 star
0
1 star
0
Most Helpful Customer Reviews
4 of 6 people found the following review helpful
Format:Paperback
This book is clear, consise and extremely informative. If you are interested in automated/ mechanical trading systems I would urge you to read and re-read this text. The authors have approached a very complex subject and throughout the book a system is developed and tested; guiding the reader on robust optimization techniques.
Was this review helpful to you?
0 of 3 people found the following review helpful
Great 6 Mar 2011
By Fedeo
Format:Paperback
This is my first review after dozens of Trading books bought in the last 10 years but I really felt in such case like a duty to thank the writers of such books for the great methodology and experience shared all over the pages of the book.
Was this review helpful to you?
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:  6 reviews
9 of 9 people found the following review helpful
Process-Robust System Development (finally!) 13 Sep 2011
By Daniel Lockhart - Published on Amazon.com
Format:Paperback
If you are reading this review, you likely have read many other trading books about trading systems. By now, you likely know that most of these books present skeletal descriptions of buy and sell rules, lots of backtesting results, figures of cumulative profit over time, and a chapter or two on money management. Some of these books are great. Some are not. This is a great book, but this book does not belong to this category of trading books.

This is not a book showing exciting buy and sell rules, a book about trading psychology or money management. This is a book on how to develop trading systems in a robust and systematic manner. This is a book on how to use optimization as a useful tool, and not merely as a means for curve-fitting. This book describes the nitty-gritty stuff most authors gloss over (stop loss sizing, trailing stops, profit target selection, etc). This book is a highly practical approach to engineering employed in trading system development.

Readers with a background in physics or engineering will feel at home. The authors start with a very simple moving average crossover system, and then slowly add complexity. At each step, the authors perform a sensitivity analysis to both a) verify that the added complexity is worthwhile, b) choose optimal (higher return) parameters, and c) most importantly, choose parameters that are robust to the ever-changing complexities of the markets. Finally, using the completed system, the authors perform a robustness test over many instruments and time frames.

If you are looking for a book to copy a system out of and make millions, this is not for you. If you are at least somewhat experienced, and know that trading system development is more than just buy and sell rules, this book should be very helpful. Do not buy this book for the automated system it describes - buy this book for the robust system development process it presents.

My only gripe is that there is no discussion regarding backtesting vs forward testing. There is an excellent chapter describing walkforward optimization. But, the authors stop just short, and do not compare the out-of-sample backtest results with the results from forward testing.

Highly recommended. I buy many books from Amazon, but this is the first review I have written. I was that impressed.
8 of 8 people found the following review helpful
Best practice back testing 14 Mar 2010
By Linus Nilsson - Published on Amazon.com
Format:Paperback|Amazon Verified Purchase
A fairly good book, that does a excellent job at explaining the pitfalls of system building. While not agreeing completely with the authors on all points, most of their arguments are in line with best practice when it comes to back testing and system building. On the downside, I probably expected more code than what existed in the book, without it, the examples become something of a 'trust-me' trade.
Overall, a book that serves most system developer as a reminder that there are a number of ways to improve their own back testing protocols. More importantly, it does also make a good job at explaining the various charts and analytics that are available in Rina Systems and Trade Station.
3 of 3 people found the following review helpful
Wow 22 May 2010
By Jeff S. King - Published on Amazon.com
Format:Paperback|Amazon Verified Purchase
Wish I had more time to write a more proper review, but I'm pressed for time. So here goes.

Being relatively new to trading system development, I found this book extremely helpful. That said, it _does_ presume the reader to have at least a 300 level of trading systems and trading system development. Snag this book while you can, it's well worth the read. Just don't try to read it during commercial breaks or some nonsense like that. It requires your full undivided attention.
Search Customer Reviews
Only search this product's reviews

Popular Highlights

 (What's this?)
&quote;
A widely accepted way to gauge the forecasting power of a system and its consistency is to calculate the ratio between the annualised net profit relating to the walk forward tests and the annualised net profit reaped during the optimisation periods. This is the walk forward efficiency ratio. If the ratio is above the 100% threshold then the system is efficient and the probability that it will keep its forecasting power during real trading is high. &quote;
Highlighted by 9 Kindle users
&quote;
Steady money is not made by mysterious super trading systems, it is made by proper money management of average trading systems. &quote;
Highlighted by 8 Kindle users
&quote;
The first aspect we check is the equity line, which needs to be growing smoothly and without many deep drawdowns. &quote;
Highlighted by 8 Kindle users

Customer Discussions

This product's forum
Discussion Replies Latest Post
No discussions yet

Ask questions, Share opinions, Gain insight
Start a new discussion
Topic:
First post:
Prompts for sign-in
 

Search Customer Discussions
Search all Amazon discussions
   

Look for similar items by category

Look for similar items by subject















i.e., each title must be in subject 1 AND subject 2 AND ...

Amazon Media EU S.à r.l. GB Privacy Statement Amazon Media EU S.à r.l. GB Delivery Information Amazon Media EU S.à r.l. GB Returns & Exchanges